STIR Futures: Trading Euribor and Eurodollar futures by Stephen Aikin
An essential read for anyone involved in this market. Stephen Aikin has been a derivatives trader for over 20 years and has worked as a professional training consultant for the last five, delivering finance and derivatives courses to leading institutions in London, Zurich and New York. He started his career working for several investment banks.
Stephen has specialised in relative value trading - both intra- and inter-contract - and has experienced consistent profitability over 20 years.
He is educated to MSc Finance level and holds several professional qualifications in the finance sector. Stephen Aikin. Hedging with STIR futures.
Fixed and variable costs. Software and hardware. IntraContract Spreads. InterContract Spreads.
(PDF) Volatility term structure of interest rate futures | Renata Herrerías - ytavozetoh.tk
Packs and Bundles leg prices will be assigned in whole basis points and allocated starting from the back months of the strategy and moving forwards. For example: a user submits a price of 2.
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This tick price can then be assigned to each individual leg price. Trading Engine will divide that price by to give 0.
Multiply that price by the number of legs to get how many ticks to give in total: 0. These ticks are given to the legs in 0.
STIR Futures: Trading Euribor and Eurodollar futures
The 11 ticks would be given evenly 2 per month with the 3 leftover ticks given to Dec 15, Sep 15 and Jun 15 ie working forwards from the back month of the strategy. In this example the final leg prices would be:.
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